https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Arima-Forecast-Evaluation/m-p/293487#M1882 <P>Hi everyone,</P><P>&nbsp;</P><P>Do any of you have a macro or something to perform the Granger-Newbold or the Diebold-Mariano tests on two Arima models forecasts on a holdback period? I'm using the 4.3 Enterprise Guide.</P> Tue, 23 Aug 2016 16:32:12 GMT bcbalvim 2016-08-23T16:32:12Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Arima-Forecast-Evaluation/m-p/293487#M1882 <P>Hi everyone,</P><P>&nbsp;</P><P>Do any of you have a macro or something to perform the Granger-Newbold or the Diebold-Mariano tests on two Arima models forecasts on a holdback period? I'm using the 4.3 Enterprise Guide.</P> Tue, 23 Aug 2016 16:32:12 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Arima-Forecast-Evaluation/m-p/293487#M1882 bcbalvim 2016-08-23T16:32:12Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Arima-Forecast-Evaluation/m-p/293870#M1884 <P>Hello -</P> <P><A href="http://faculty.smu.edu/tfomby/eco5375/data/Exercises/Diebold-Mariano%20Test.sas" target="_blank">http://faculty.smu.edu/tfomby/eco5375/data/Exercises/Diebold-Mariano%20Test.sas</A> (see also: <A href="http://faculty.smu.edu/tfomby/eco5375/data/Exercises/" target="_blank">http://faculty.smu.edu/tfomby/eco5375/data/Exercises/</A>)</P> <P>might&nbsp;get you started.</P> <P>Thanks,</P> <P>Udo</P> Thu, 25 Aug 2016 20:58:18 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Arima-Forecast-Evaluation/m-p/293870#M1884 udo_sas 2016-08-25T20:58:18Z